<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<title>OptionsPricing: LCSolverBase.py Source File</title>

<link href="tabs.css" rel="stylesheet" type="text/css"/>
<link href="doxygen.css" rel="stylesheet" type="text/css" />

<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/javascript">
  $(document).ready(function() { searchBox.OnSelectItem(0); });
</script>

</head>
<body>
<div id="top"><!-- do not remove this div! -->


<div id="titlearea">
<table cellspacing="0" cellpadding="0">
 <tbody>
 <tr style="height: 56px;">
  
  
  <td style="padding-left: 0.5em;">
   <div id="projectname">OptionsPricing
   
   </div>
   
  </td>
  
  
  
 </tr>
 </tbody>
</table>
</div>

<!-- Generated by Doxygen 1.7.5.1 -->
<script type="text/javascript">
var searchBox = new SearchBox("searchBox", "search",false,'Search');
</script>
  <div id="navrow1" class="tabs">
    <ul class="tablist">
      <li><a href="index.html"><span>Main&#160;Page</span></a></li>
      <li><a href="annotated.html"><span>Classes</span></a></li>
      <li class="current"><a href="files.html"><span>Files</span></a></li>
      <li><a href="dirs.html"><span>Directories</span></a></li>
      <li>
        <div id="MSearchBox" class="MSearchBoxInactive">
        <span class="left">
          <img id="MSearchSelect" src="search/mag_sel.png"
               onmouseover="return searchBox.OnSearchSelectShow()"
               onmouseout="return searchBox.OnSearchSelectHide()"
               alt=""/>
          <input type="text" id="MSearchField" value="Search" accesskey="S"
               onfocus="searchBox.OnSearchFieldFocus(true)" 
               onblur="searchBox.OnSearchFieldFocus(false)" 
               onkeyup="searchBox.OnSearchFieldChange(event)"/>
          </span><span class="right">
            <a id="MSearchClose" href="javascript:searchBox.CloseResultsWindow()"><img id="MSearchCloseImg" border="0" src="search/close.png" alt=""/></a>
          </span>
        </div>
      </li>
    </ul>
  </div>
  <div id="navrow2" class="tabs2">
    <ul class="tablist">
      <li><a href="files.html"><span>File&#160;List</span></a></li>
    </ul>
  </div>
  <div id="nav-path" class="navpath">
    <ul>
      <li class="navelem"><a class="el" href="dir_10671ff18db44d298e3037435735ff34.html">solvers</a>      </li>
    </ul>
  </div>
</div>
<div class="header">
  <div class="headertitle">
<div class="title">LCSolverBase.py</div>  </div>
</div>
<div class="contents">
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 
<a name="l00002"></a>00002 <span class="comment"># Copyright (c) 2011</span>
<a name="l00003"></a>00003 <span class="comment">#</span>
<a name="l00004"></a>00004 <span class="comment"># Permission is hereby granted, free of charge, to any person obtaining a</span>
<a name="l00005"></a>00005 <span class="comment"># copy of this software and associated documentation files (the &quot;Software&quot;),</span>
<a name="l00006"></a>00006 <span class="comment"># to deal in the Software without restriction, including without limitation</span>
<a name="l00007"></a>00007 <span class="comment"># the rights to use, copy, modify, merge, publish, distribute, sub license,</span>
<a name="l00008"></a>00008 <span class="comment"># and/or sell copies of the Software, and to permit persons to whom the</span>
<a name="l00009"></a>00009 <span class="comment"># Software is furnished to do so, subject to the following conditions:</span>
<a name="l00010"></a>00010 <span class="comment">#</span>
<a name="l00011"></a>00011 <span class="comment"># The above copyright notice and this permission notice shall be included in</span>
<a name="l00012"></a>00012 <span class="comment"># all copies or substantial portions of the Software.</span>
<a name="l00013"></a>00013 <span class="comment">#</span>
<a name="l00014"></a>00014 <span class="comment"># THE SOFTWARE IS PROVIDED &quot;AS IS&quot;, WITHOUT WARRANTY OF ANY KIND, EXPRESS OR</span>
<a name="l00015"></a>00015 <span class="comment"># IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,</span>
<a name="l00016"></a>00016 <span class="comment"># FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE</span>
<a name="l00017"></a>00017 <span class="comment"># AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER</span>
<a name="l00018"></a>00018 <span class="comment"># LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,</span>
<a name="l00019"></a>00019 <span class="comment"># OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE</span>
<a name="l00020"></a>00020 <span class="comment"># SOFTWARE.</span>
<a name="l00021"></a>00021 <span class="comment">#</span>
<a name="l00022"></a>00022 <span class="comment"># Author: Jesus Carrero &lt;j.o.carrero@gmail.com&gt;</span>
<a name="l00023"></a>00023 <span class="comment"># Mountain View, CA</span>
<a name="l00024"></a>00024 <span class="comment">#</span>
<a name="l00025"></a>00025 
<a name="l00026"></a>00026 <span class="stringliteral">&quot;&quot;&quot; Linear complementary problem. &quot;&quot;&quot;</span>
<a name="l00027"></a>00027 
<a name="l00028"></a>00028 <span class="keyword">import</span> numpy <span class="keyword">as</span> np
<a name="l00029"></a>00029 
<a name="l00030"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html">00030</a> <span class="keyword">class </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html">LCSolverBase</a>(object):
<a name="l00031"></a>00031     <span class="stringliteral">&quot;&quot;&quot; base class to solve the linear complementary problem. &quot;&quot;&quot;</span>
<a name="l00032"></a>00032 
<a name="l00033"></a>00033     __slots__ = [<span class="stringliteral">&#39;m_M&#39;</span>, <span class="stringliteral">&#39;m_b&#39;</span>, <span class="stringliteral">&#39;m_xp&#39;</span>, <span class="stringliteral">&#39;m_lcp_stype&#39;</span>, <span class="stringliteral">&#39;m_constraint&#39;</span>,
<a name="l00034"></a>00034                  <span class="stringliteral">&#39;m_mat_attr&#39;</span>, <span class="stringliteral">&#39;m_sysmat&#39;</span>, <span class="stringliteral">&#39;m_solu&#39;</span>]
<a name="l00035"></a>00035 
<a name="l00036"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a3e68c5aeb0c3445335bb63aa7ccd5694">00036</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a3e68c5aeb0c3445335bb63aa7ccd5694">__init__</a>(self, sys_eqn, load, method=None, constraint=None):
<a name="l00037"></a>00037         <span class="stringliteral">&quot;&quot;&quot; Instantate an object of type LCSolverBase. &quot;&quot;&quot;</span>
<a name="l00038"></a>00038 
<a name="l00039"></a>00039         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#ade17d1b2a542694ae311894e270eb469">m_lcp_stype</a> = method
<a name="l00040"></a>00040 
<a name="l00041"></a>00041         (self.m_xn, self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#af97035eecb5e38d5a6697e737336028e">m_load</a>) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00042"></a>00042         (self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a9c79a77602ca93e248cbac7c3bd600ec">m_tol</a>, self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a1f1c08c2af9e8498a4ff8ed3b6c91882">m_mat_attr</a>) = (1.0e-03, 0)
<a name="l00043"></a>00043         (self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a761c1235c500b64a927cccb5ab859d47">m_constraint</a>, self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a1f1c08c2af9e8498a4ff8ed3b6c91882">m_mat_attr</a>) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00044"></a>00044         (self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4f1cdd9a0c7fe93643944c0cb5828201">m_sysmat</a>, self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4b29c3a433bbb75fd4822e4670d9a28c">m_solu</a>) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00045"></a>00045 
<a name="l00046"></a>00046         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a5a5c0ed16ae71abfed5b50772238a76d">__setup</a>(sys_eqn, load, constraint)
<a name="l00047"></a>00047 
<a name="l00048"></a>00048         <span class="keywordflow">if</span> constraint == <span class="keywordtype">None</span> <span class="keywordflow">and</span> method == <span class="stringliteral">&#39;pSor&#39;</span>:
<a name="l00049"></a>00049             self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a761c1235c500b64a927cccb5ab859d47">m_constraint</a> = np.zeros(load.shape)
<a name="l00050"></a>00050 
<a name="l00051"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a77b06843e193f7369ebf683e7c3070a0">00051</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a77b06843e193f7369ebf683e7c3070a0">set_mat_attrib</a>(self, struct):
<a name="l00052"></a>00052         <span class="stringliteral">&quot;&quot;&quot; supported modes are pentadiagonal and tridiagonal. &quot;&quot;&quot;</span>
<a name="l00053"></a>00053 
<a name="l00054"></a>00054         <span class="keywordflow">if</span> <span class="stringliteral">&#39;Penta&#39;</span> == struct:
<a name="l00055"></a>00055             self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a1f1c08c2af9e8498a4ff8ed3b6c91882">m_mat_attr</a> = 5
<a name="l00056"></a>00056 
<a name="l00057"></a>00057         <span class="keywordflow">if</span> <span class="stringliteral">&#39;Tridia&#39;</span> == struct:
<a name="l00058"></a>00058             self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a1f1c08c2af9e8498a4ff8ed3b6c91882">m_mat_attr</a> = 3
<a name="l00059"></a>00059 
<a name="l00060"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a67cf7b4daa37e2319c209707c0987c40">00060</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a67cf7b4daa37e2319c209707c0987c40">get_matrix_attr</a>(self):
<a name="l00061"></a>00061         <span class="stringliteral">&quot;&quot;&quot; non-structure, pentadiagonal, triadiagonal. &quot;&quot;&quot;</span>
<a name="l00062"></a>00062 
<a name="l00063"></a>00063         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a1f1c08c2af9e8498a4ff8ed3b6c91882">m_mat_attr</a>
<a name="l00064"></a>00064 
<a name="l00065"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a72350b039d5d000a185b1f05d50e9072">00065</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a72350b039d5d000a185b1f05d50e9072">set_tolerance</a>(self, tol):
<a name="l00066"></a>00066         <span class="stringliteral">&quot;&quot;&quot; SSOR tolerance. &quot;&quot;&quot;</span>
<a name="l00067"></a>00067 
<a name="l00068"></a>00068         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a9c79a77602ca93e248cbac7c3bd600ec">m_tol</a> = tol
<a name="l00069"></a>00069 
<a name="l00070"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4c4fb0c672fb77804713b73062db275a">00070</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4c4fb0c672fb77804713b73062db275a">get_tolerance</a>(self):
<a name="l00071"></a>00071         <span class="stringliteral">&quot;&quot;&quot; tolerance use by iterative solver. &quot;&quot;&quot;</span>
<a name="l00072"></a>00072 
<a name="l00073"></a>00073         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a9c79a77602ca93e248cbac7c3bd600ec">m_tol</a>
<a name="l00074"></a>00074 
<a name="l00075"></a>00075     <span class="keyword">def </span>__setup(self, sys_eqn, load, constraint=None):
<a name="l00076"></a>00076         <span class="stringliteral">&quot;&quot;&quot; after stiff matrix is created we need to initialize</span>
<a name="l00077"></a>00077 <span class="stringliteral">            system constraint and make space to keep track of</span>
<a name="l00078"></a>00078 <span class="stringliteral">            solutions iterations. &quot;&quot;&quot;</span>
<a name="l00079"></a>00079 
<a name="l00080"></a>00080         <span class="keywordflow">try</span>:
<a name="l00081"></a>00081             self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4f1cdd9a0c7fe93643944c0cb5828201">m_sysmat</a> = sys_eqn.todense()
<a name="l00082"></a>00082         <span class="keywordflow">except</span>:
<a name="l00083"></a>00083             self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4f1cdd9a0c7fe93643944c0cb5828201">m_sysmat</a> = sys_eqn
<a name="l00084"></a>00084 
<a name="l00085"></a>00085         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#af97035eecb5e38d5a6697e737336028e">m_load</a> = load
<a name="l00086"></a>00086         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a761c1235c500b64a927cccb5ab859d47">m_constraint</a> = constraint
<a name="l00087"></a>00087         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4b29c3a433bbb75fd4822e4670d9a28c">m_solu</a> = np.zeros(load.shape)
<a name="l00088"></a>00088 
<a name="l00089"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a802b5f8e5872695d77f1fa7724b487bb">00089</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a802b5f8e5872695d77f1fa7724b487bb">get_constraint</a>(self):
<a name="l00090"></a>00090         <span class="stringliteral">&quot;&quot;&quot; vector or None ( no constraint imposed ) &quot;&quot;&quot;</span>
<a name="l00091"></a>00091 
<a name="l00092"></a>00092         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a761c1235c500b64a927cccb5ab859d47">m_constraint</a>
<a name="l00093"></a>00093 
<a name="l00094"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#ae5ea0f6eb7515297fd25ae86c4cc38b9">00094</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#ae5ea0f6eb7515297fd25ae86c4cc38b9">get_matrix</a>(self):
<a name="l00095"></a>00095         <span class="stringliteral">&quot;&quot;&quot; system of equations to solve. &quot;&quot;&quot;</span>
<a name="l00096"></a>00096 
<a name="l00097"></a>00097         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4f1cdd9a0c7fe93643944c0cb5828201">m_sysmat</a>
<a name="l00098"></a>00098 
<a name="l00099"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a5c0c2e270664c98217323e2a79562432">00099</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a5c0c2e270664c98217323e2a79562432">get_lcp_solver_type</a>(self):
<a name="l00100"></a>00100         <span class="stringliteral">&quot;&quot;&quot; linear complementary problem solver to use.  &quot;&quot;&quot;</span>
<a name="l00101"></a>00101         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#ade17d1b2a542694ae311894e270eb469">m_lcp_stype</a>
<a name="l00102"></a>00102 
<a name="l00103"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a3f0a2e7243c49ec8f09ae0420bc6cdf9">00103</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a3f0a2e7243c49ec8f09ae0420bc6cdf9">set_rhs</a>(self, load):
<a name="l00104"></a>00104         <span class="stringliteral">&quot;&quot;&quot; set load vector. &quot;&quot;&quot;</span>
<a name="l00105"></a>00105 
<a name="l00106"></a>00106         self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#af97035eecb5e38d5a6697e737336028e">m_load</a> = load
<a name="l00107"></a>00107 
<a name="l00108"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a390fee4472da2c14b07d46c52ca3ea93">00108</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a390fee4472da2c14b07d46c52ca3ea93">get_rhs</a>(self):
<a name="l00109"></a>00109         <span class="stringliteral">&quot;&quot;&quot; get load, also called rhs. &quot;&quot;&quot;</span>
<a name="l00110"></a>00110 
<a name="l00111"></a>00111         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#af97035eecb5e38d5a6697e737336028e">m_load</a>
<a name="l00112"></a>00112 
<a name="l00113"></a><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a7d06b2c7e1fd644217fbf2fb53ebd768">00113</a>     <span class="keyword">def </span><a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a7d06b2c7e1fd644217fbf2fb53ebd768">solution</a>(self):
<a name="l00114"></a>00114         <span class="stringliteral">&quot;&quot;&quot; returns last solution computed. &quot;&quot;&quot;</span>
<a name="l00115"></a>00115 
<a name="l00116"></a>00116         <span class="keywordflow">return</span> self.<a class="code" href="classsolvers_1_1LCSolverBase_1_1LCSolverBase.html#a4b29c3a433bbb75fd4822e4670d9a28c">m_solu</a>
<a name="l00117"></a>00117 
</pre></div></div>
</div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
     onmouseover="return searchBox.OnSearchSelectShow()"
     onmouseout="return searchBox.OnSearchSelectHide()"
     onkeydown="return searchBox.OnSearchSelectKey(event)">
<a class="SelectItem" href="javascript:void(0)" onclick="searchBox.OnSelectItem(0)"><span class="SelectionMark">&#160;</span>All</a><a class="SelectItem" href="javascript:void(0)" onclick="searchBox.OnSelectItem(1)"><span class="SelectionMark">&#160;</span>Classes</a><a class="SelectItem" href="javascript:void(0)" onclick="searchBox.OnSelectItem(2)"><span class="SelectionMark">&#160;</span>Functions</a></div>

<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0" 
        name="MSearchResults" id="MSearchResults">
</iframe>
</div>



<hr class="footer"/><address class="footer"><small>
Generated on Thu Dec 22 2011 05:17:53 for OptionsPricing by &#160;<a href="http://www.doxygen.org/index.html">
<img class="footer" src="doxygen.png" alt="doxygen"/>
</a> 1.7.5.1
</small></address>

</body>
</html>
